Study: Buy SRTRANSFIN when below 200 SMA

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In this study, we evaluate the performance of strategy "Buy SRTRANSFIN when below 200 SMA" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy SRTRANSFIN at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
163918574413355.4117596.58100000-2493.18-11307.17.068.770.0878637.63
249069374462862.1613964.397142.86-5416.58-17965.782.584.240.076630.99
340698774383651.3519083.4790000-8838.46-73015.872.162.280.0495499.83
452621674403454.0520741.94160000-8925.33-35599.382.322.730.0587111.03
540177774393552.718521.18100000-9158.53-23250.112.022.250.0565429.42
652839474413355.4120874.4104000-9922.92-29432.752.12.610.0657140.46
762118074383651.3525561.74152000-9726.85-32786.892.632.770.0598394.32
849236474423256.7619865.69100000-10687.34-32588.371.862.440.0596653.57
952320674462862.1619257.74100000-12951.8-41062.871.492.440.0647070.35
1064695374423256.7625422.19133333-13149.33-38517.81.932.540.0588742.61

From the table above, we see that best results are achieved by holding positions for 1 trading days. Profit factor is 8.77. Strategy is very good and impressively bullish. Percentage of profitable trades is 55.41%, which is not acceptable. Avoid this strategy. Average return per trade is 4.32%, which is very good. Sharpe Ratio is 0.087, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades. This chart is important and informative as it shows the performance of strategy over time.
SRTRANSFIN Performance, X=1, Profit Factor:8.77

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019521 Jan 2019 (-1.66%), 22 Apr 2019 (-0.21%), 13 May 2019 (3.13%), 17 Jun 2019 (3.24%), 23 Jul 2019 (-5.65%)
2018428 Jun 2018 (-0.32%), 05 Sep 2018 (-4.9%), 21 Sep 2018 (-2.23%), 08 Oct 2018 (1.63%)
2017402 Mar 2017 (2.27%), 27 Apr 2017 (-0.18%), 12 May 2017 (0.65%), 09 Aug 2017 (-0.95%)
2016315 Jan 2016 (0.31%), 01 Nov 2016 (0.87%), 20 Dec 2016 (-0.12%)
2015717 Apr 2015 (-1.33%), 04 May 2015 (2.26%), 11 Jun 2015 (2.91%), 27 Jul 2015 (-0.67%), 13 Aug 2015 (5.16%), 09 Nov 2015 (-2.71%), 10 Dec 2015 (-2.04%)
2014111 Feb 2014 (-0.3%)
2013424 Jun 2013 (1.12%), 17 Jul 2013 (4.05%), 01 Aug 2013 (4.11%), 20 Aug 2013 (4.77%)
2012227 Feb 2012 (4.6%), 08 May 2012 (1.17%)
2011728 Jan 2011 (-1.82%), 02 May 2011 (-2.88%), 16 Jun 2011 (-1.02%), 01 Aug 2011 (-1.31%), 07 Oct 2011 (-0.01%), 11 Nov 2011 (-0.14%), 20 Dec 2011 (-1.37%)
2009222 Jan 2009 (3.77%), 18 Feb 2009 (0.38%)
2008523 Jun 2008 (-0.66%), 16 Sep 2008 (-1.19%), 06 Oct 2008 (3.73%), 22 Oct 2008 (-0.49%), 12 Dec 2008 (5.25%)
2006208 Jun 2006 (1.45%), 17 Jul 2006 (-1.9%)
2004215 Mar 2004 (-3.52%), 17 May 2004 (9.31%)
2003131 Jan 2003 (0.87%)
2001131 Aug 2001 (7.69%)
2000616 Feb 2000 (12.5%), 30 Mar 2000 (47.54%), 02 May 2000 (40.0%), 17 Jul 2000 (0.0%), 24 Oct 2000 (28.4%), 10 Nov 2000 (8.64%)
1999604 Feb 1999 (33.33%), 26 Apr 1999 (8.2%), 24 May 1999 (0.0%), 29 Jul 1999 (10.0%), 01 Sep 1999 (16.67%), 02 Nov 1999 (50.0%)
1998810 Feb 1998 (2.78%), 04 Mar 1998 (1.69%), 19 May 1998 (3.09%), 09 Jun 1998 (11.97%), 29 Sep 1998 (6.45%), 15 Oct 1998 (3.33%), 24 Nov 1998 (0.0%), 11 Dec 1998 (-0.99%)
1997401 Sep 1997 (0.0%), 16 Oct 1997 (1.45%), 17 Nov 1997 (0.0%), 23 Dec 1997 (-0.57%)

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
nilnil-1163918574413355.4117596.58100000-2493.18-11307.17.068.770.0878637.63
atrtrail35.481.35844e+06132676550.7627452.6295056-7398.28-18024.813.713.820.06510291.18
atrtrail24.641.33609e+06132686451.5226677.21196704-7468.2-18024.813.573.80.07610121.86
atrtrail-16.11.0681e+06131666550.3823463.98120662-7392.6-18024.813.173.220.0718153.46
atrnil26.441.28921e+06116546246.5536557.76196704-11046.91-60808.013.312.880.07111113.89
atrnil310.371.32823e+06104396537.552855.42295056-11278.92-60808.014.692.810.06212771.46

In the table above, row 1 shows the best exit criterion. Profit factor is 8.77. Strategy is very good and impressively bullish. Percentage of profitable trades is 55.41%, which is not acceptable. Avoid this strategy. Average return per trade is 4.32%, which is very good. Sharpe Ratio is 0.087, which is low, don't trade solely on the basis of this study.
Performance of strategy chart over time is same as above.

View performance of other stocks for this trading system.

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